The Term Structure of Interest Rate

@inproceedings{Marty2017TheTS,
  title={The Term Structure of Interest Rate},
  author={Wolfgang Marty},
  year={2017}
}
In this chapter, we depart from the flat yield concept (see Definition 3.6) as discussed in Chap. 3. The flat yield concept allows different discount factors for different bonds although cash flow occurs at the same time in the future. The concept of time value of money does not allow this situation and spot curves avoid this deficiency. Figure 4.1 shows the backbone of this chapter. We discuss the transition from yield curve to spot curves and spot curves to forward curves.